ProShares UltraPro QQQ (TQQQ)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Looking at the total return, or performance of 117.3% in the last 5 years of ProShares UltraPro QQQ, we see it is relatively higher, thus better in comparison to the benchmark SPY (91.1%)
• Looking at total return in of 437.8% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (80.1%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The annual return (CAGR) over 5 years of ProShares UltraPro QQQ is 16.9%, which is greater, thus better compared to the benchmark SPY (13.9%) in the same period.
• Compared with SPY (21.8%) in the period of the last 3 years, the annual performance (CAGR) of 75.7% is larger, thus better.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Looking at the 30 days standard deviation of 67.2% in the last 5 years of ProShares UltraPro QQQ, we see it is relatively greater, thus worse in comparison to the benchmark SPY (17.1%)
• Compared with SPY (15.2%) in the period of the last 3 years, the 30 days standard deviation of 59% is higher, thus worse.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Looking at the downside deviation of 47.1% in the last 5 years of ProShares UltraPro QQQ, we see it is relatively larger, thus worse in comparison to the benchmark SPY (11.8%)
• Looking at downside risk in of 39.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10.2%).

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Compared with the benchmark SPY (0.67) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.21 of ProShares UltraPro QQQ is lower, thus worse.
• Looking at Sharpe Ratio in of 1.24 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.27).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Compared with the benchmark SPY (0.97) in the period of the last 5 years, the downside risk / excess return profile of 0.3 of ProShares UltraPro QQQ is lower, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is 1.84, which is smaller, thus worse than the value of 1.89 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark SPY (8.42 ) in the period of the last 5 years, the Downside risk index of 42 of ProShares UltraPro QQQ is higher, thus worse.
• Compared with SPY (3.51 ) in the period of the last 3 years, the Downside risk index of 16 is greater, thus worse.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -81.7 days of ProShares UltraPro QQQ is lower, thus worse.
• During the last 3 years, the maximum DrawDown is -58 days, which is lower, thus worse than the value of -18.8 days from the benchmark.

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Looking at the maximum days under water of 762 days in the last 5 years of ProShares UltraPro QQQ, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
• Looking at maximum days below previous high in of 161 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (87 days).

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

• Looking at the average time in days below previous high water mark of 259 days in the last 5 years of ProShares UltraPro QQQ, we see it is relatively greater, thus worse in comparison to the benchmark SPY (119 days)
• During the last 3 years, the average time in days below previous high water mark is 42 days, which is greater, thus worse than the value of 21 days from the benchmark.